Diebold, Francis X.
[VerfasserIn]
;
Schorfheide, Frank
[Sonstige Person, Familie und Körperschaft];
Shin, Minchul
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, September 2016
Erschienen in:NBER working paper series ; no. w22615
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w22615
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
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Mode of access: World Wide Web
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Beschreibung:
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their density forecasts